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Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts

Published online by Cambridge University Press:  06 April 2009

Elizabeth Tashijan Johnston ,
William A. Kracaw  and
John J. McConnell
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Abstract

This paper provides a comprehensive study of weekly seasonal effects in GNMA, T-bond, T-note, and T-bill futures returns. Two distinct patterns are found in returns on GNMA, T-bond, and T-note contracts, while no seasonals are noted for T-bill futures. A negative Monday seasonal—similar to the well-known Monday effect in stock returns—is found for GNMA and T-bond contracts. A positive Tuesday seasonal is found on GNMA, T-bond, and T-note contracts. Our evidence indicates that the significance of weekly seasonals depends in an important way on the time period studied. The negative Monday phenomenon occurs only in the data before 1982, while the positive Tuesday effect is present only after 1984. In addition, we find that both seasonal phenomena occur only during months prior to a delivery month. This effect appears to be related to the calendar month. More specifically, the Monday effect is apparently concentrated during February, while the Tuesday effect is concentrated during May.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 26 , Issue 1 , March 1991 , pp. 23 - 44
Copyright
Copyright © School of Business Administration, University of Washington 1991

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